Are Asian Sovereign Wealth Funds Different?

Sovereign wealth funds have become a prominent feature of the international financial landscape. However, legitimate concerns have been raised about these funds. Many of those concerns can be addressed via increased accountability and transparency by the funds. The Santiago Principles are a good start in doing so. My sovereign wealth funds scoreboard points to areas where these Principles can be improved. At the same time, the OECD effort to address concerns from the host‐country side has not resulted in the erection of new barriers to that form of cross‐border investment, but the OECD failed to reverse the creeping financial protectionism of the past decade. Because of their size and the source of their funding, some Asian funds stand out. As a result, those funds will be held to a higher standard of accountability and transparency.     

Linking words in economic discourse: Implications for macroeconomic forecasts

This paper develops indicators of unstructured press information by exploiting word vector representations. A model is trained using a corpus covering 90 years of Wall Street Journal content. The information content of the indicators is assessed through business cycle forecast exercises. The vector representations can learn meaningful word associations that are exploited to construct indicators of uncertainty. In-sample and out-of-sample forecast exercises show that the indicators contain valuable information regarding future economic activity. The combination of indices associated with different subjective states (e.g., uncertainty, fear, pessimism) results in further gains in information content. The documented performance is unmatched by previous dictionary-based word counting techniques proposed in the literature.     

Revisiting Purchasing Power Parity in OECD

This study revisits Purchasing Power Parity theory (PPP) in the 34 OECD countries during January 1994–August 2013. We use a new panel stationary test with both sharp breaks and smooth shifts, a novel approach to panel unit-root testing, proposed by Bahmani–Oskooee et al. (2014). The results indicate that the PPP holds in half of the 34 OECD countries. These results indicate the importance of proper modelling of both sharp breaks and smooth shifts in real effective exchange rate series of OECD countries.     

Forecasting stock price volatility: New evidence from the GARCH-MIDAS model

This paper introduces a combination of asymmetry and extreme volatility effects in order to build superior extensions of the GARCH-MIDAS model for modeling and forecasting the stock volatility. Our in-sample results clearly verify that extreme shocks have a significant impact on the stock volatility and that the volatility can be influenced more by the asymmetry effect than by the extreme volatility effect in both the long and short term. Out-of-sample results with several robustness checks demonstrate that our proposed models can achieve better performances in forecasting the volatility. Furthermore, the improvement in predictive ability is attributed more strongly to the introduction of asymmetry and extreme volatility effects for the short-term volatility component.     

河北省工业碳排放情景预测与节能减排潜力分析

通过计算河北省工业能源终端消费的碳排放量,对2015年和2020年工业CO2排放的三种目标情景进行了预测。在此基础上,根据河北省有关规划设定的目标,分析了河北省六大高耗能行业的节能减排潜力,指出这些行业分别处于不同的节能减排难度空间。最后,根据各高耗能行业的节能减排难度,设计了单边突破、渐进式提升、跨越式发展和自我提升等节能减排路径。     

基于OECD 国家面板数据的金融风险影响 因素研究

本文选取1980~2013年OECD 28个国家经济与金融的样本数据,采用面板logit模型对这些国家金融风险的影响因素进行逐步回归分析。结果显示,GDP增长率、经常账户余额占GDP比率以及总储备占GDP的比率对OECD国家金融风险的影响是负向的,即随着它们的增长,金融风险产生的概率减小;汇率对OECD国家金融风险的影响是正向的,即随着汇率的增长,金融风险产生的概率增大。     

管理层盈余预测与不对称及时性实证研究

为了分析管理层盈余预测对盈余不对称及时性之间的关系,即发布消息的时间点和内容分类对盈余不对称及时性的影响,用Basu模型分段实证检验盈余预测对盈余不对称及时性的影响、正(负)向盈余预测与不对称及时性的关系,以及当期发布的盈余预警对盈余不对称及时性的影响。结果表明,不对称及时性对公司发布的未来盈余的影响不显著,公司发布预期盈余的时间及时性主要集中在负向盈余意外,这与价格引导盈余引起更多的未来盈余预测的向下有偏的不对称及时性系数相一致,当期发布盈余预警会降低盈余与收益的不对称及时性。管理层发布内部盈余预测,有助于缓解与外部信息使用者之间的信息不对称,满足利益相关者的决策需求,进而有助于促进证券市场向半强式有效市场转化。     

Impact of financial/economic crisis on demand for hotel rooms in Hong Kong

The main objectives of this study are (1) to identify the factors that influence the demand for hotel rooms in Hong Kong and (2) to generate quarterly forecasts of that demand to assess the impact of the ongoing financial/economic crisis. The demand for four types of hotel room from the residents of nine major origin countries is considered, and forecasts are generated from the first quarter of 2009 to the fourth quarter of 2015. Econometric approaches are employed to calculate the demand elasticities and their corresponding confidence intervals, which are then used to generate interval demand predictions. The empirical results reveal that the most important factors in determining the demand for hotel rooms in Hong Kong are the economic conditions (measured by income level) in the origin markets, the price of the hotel rooms and the ‘word of mouth’ effect. Demand for High Tariff A and Medium Tariff hotel rooms is estimated to have experienced negative annual growth in 2009 due to the influence of the financial/economic crisis, whereas that for High Tariff B hotel rooms is thought to have grown in 2009 after having decreased in 2008. The demand for tourist guesthouse rooms is expected to be the least affected by the crisis. Overall demand is predicted to recover gradually from 2010 onwards.     

Efficient estimation of forecast uncertainty based on recent forecast errors

Multi-step-ahead forecasts of the forecast uncertainty of an individual forecaster are often based on the horizon-specific sample means of his recent squared forecast errors, where the number of past forecast errors available decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such samples are investigated. If the forecast uncertainty is estimated by seemingly unrelated regressions, it turns out that the covariance matrix of the squared forecast errors does not have to be estimated, but simply needs to have a certain structure, which is a very useful property in small samples. Considering optimal and non-optimal forecasts, it is found that the efficiency gains can be substantial for longer horizons in small samples. The superior performance of the seemingly-unrelated-regressions approach is confirmed in several empirical applications.     

Strategic implications of the Soviet‐North Korean alliance

Abstract

Globalization is commonly defined as a strict economic path by most previous works, but it is really a fuzzy concept with unrestrained dimensions. While the ideological location of an incumbent political party is a powerful predictor of its policy position, the role of a political party in the globalization-growth nexus has never been fully empirically investigated. By applying Pedroni's panel cointegration technique instead of a time-series or traditional panel data approach, this paper aims to empirically re-examine the co-movement and the causal relationship among economic growth, the overall globalization index, and its three main dimensions—economic, social, as well as political integrations—by using panel data for 23 Organization for Economic Cooperation and Development (OECD) countries for 1970 to 2006. Certainly, the political party variable is taken into account as the advanced test is promoted, and we finally discover that all variables move together in the long run. Based on the results of the panel causality test, though the evidence of short-run causality is very weak, it does show long-run unidirectional causality running from the overall index of globalization, economic globalization, and social globalization to growth. Finally, the critical role of the political party is deeply discussed in relation with our results.